This paper deals with nonlinear filtering problems with delays, i.e., we consider a system (X, Y), which can be represented by means of a system (X, (Y) over cap), in the sense that Y-t = (Y) over cap (a)(t), where a(t) is a delayed time transformation. We start with X being a Markov process, and then study Markovian systems, not necessarily diffusive, with correlated noises. The interest is focused on the existence of explicit representations of the corresponding filters as functionals depending on the observed trajectory. Various assumptions on the function a(t) are considered.

Calzolari, A., Florchinger, P., Nappo, G. (2009). Nonlinear Filtering for Markov Systems with Delayed Observations. INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS AND COMPUTER SCIENCE, 19(1), 49-57 [10.2478/v10006-009-0004-8].

Nonlinear Filtering for Markov Systems with Delayed Observations

CALZOLARI, ANTONELLA;
2009-03-01

Abstract

This paper deals with nonlinear filtering problems with delays, i.e., we consider a system (X, Y), which can be represented by means of a system (X, (Y) over cap), in the sense that Y-t = (Y) over cap (a)(t), where a(t) is a delayed time transformation. We start with X being a Markov process, and then study Markovian systems, not necessarily diffusive, with correlated noises. The interest is focused on the existence of explicit representations of the corresponding filters as functionals depending on the observed trajectory. Various assumptions on the function a(t) are considered.
Pubblicato
Rilevanza internazionale
Articolo
Sì, ma tipo non specificato
Settore MAT/06 - Probabilita' e Statistica Matematica
English
Con Impact Factor ISI
nonlinear filtering; jump processes; diffusion processes; Markov processes; stochastic delay differential equation
Calzolari, A., Florchinger, P., Nappo, G. (2009). Nonlinear Filtering for Markov Systems with Delayed Observations. INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS AND COMPUTER SCIENCE, 19(1), 49-57 [10.2478/v10006-009-0004-8].
Calzolari, A; Florchinger, P; Nappo, G
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/25500
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